CHEN Jing, ZHANG Shuguang. Pricing of European Call Option on Corporate Bond[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 63-67.
Citation:
CHEN Jing, ZHANG Shuguang. Pricing of European Call Option on Corporate Bond[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 63-67.
CHEN Jing, ZHANG Shuguang. Pricing of European Call Option on Corporate Bond[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 63-67.
Citation:
CHEN Jing, ZHANG Shuguang. Pricing of European Call Option on Corporate Bond[J]. Chinese Journal of Applied Probability and Statistics, 1999, 15(1): 63-67.
In this paper, we study tile pricing problem of European call option written on a corporate bond and get a relationship between tile price of such option and that of a call option written on a risk-free bond.